The Empirical Study Of China’s A-share Market Calendar Effect

With the constant innovation and development of the financial market in China, the importance of the stock market in the national economy is also growing, the market operating mechanism is reasonable, the validity of market volatility, not only at the macro level affect the development of the national economy, but also at the micro level to affect the disposable wealth level of each social member. Therefore, based on the research of Chinese stock market efficiency not only can enrich the theory achievements, but also to optimize the system of the national economy to provide some practical Suggestions.Based on the research of market effectiveness began Fama (1970) proposed the efficient market hypothesis (EMH), the thought in a securities market, if the current stock price reflects all can obtain the market information, then the market is effective. However, many scholars through the empirical analysis found that the market can not meet the needs of the efficient market hypothesis in the phenomenon, namely market vision, therefore, for these market vision of study to become an important part of whether effective.In the numerous market vision, scholars of common concern to a calendar effect. So-called calendar effect, it is to point to in the securities market, stock returns, kurtosis and variance characteristics in days, weeks, months, or seasonal presents periodic, stable movement patterns. Mainly includes the days effect and week effect, monthly effect and holiday effect, etc.This article selects on April 1,2005-2005, April 1, Shanghai and shenzhen 300 index and the csi 500 index daily closing price as the sample data, representing the large-cap and small-cap stocks in the stock market in China market, the research content is weeks effect in Chinese stock market and the effect of the month. Introduced the research method is to use virtual variable modified garch-m model to empirical analysis on the sample data, and plays a significant role in Chinese stock market calendar effect of conclusion.This article is divided into seven chapters, send to address the issue of the calendar effect in the Chinese stock market. The chapter content is as follows:The first chapter is introduction, mainly from the research background, research purpose and significance, the innovation points and deficiencies and four aspects in this paper, structure framework for the research in this paper.The second chapter is literature review, from foreign scholars on the research of the calendar effect and the domestic scholars on the research of the calendar effect two aspects to review and summarize previous scholars on the research of the calendar effect.The third chapter for the related concepts and correlation model, respectively to involved in the related concept of statistics and financial theory and econometric model are briefly introduced, mainly including calendar effects, non-normal distribution, the concept of leverage, behavioral finance theory and the ARCH model, etc.The forth chapter is statistical description of sample data, first introduced the selection of sample data, and then in turn to normality test, stability test, autocorrelation test and heteroscedasticity testing, comprehensive analysis of characteristics of time series of sample data, confirmed that the Chinese stock market sample interval csi 300 index and the csi 500 index yield data is non-normal, stability and order more since the correlation and has such characteristics as high order heteroscedasticity, so as to prepare the way for further empirical test.The fifth chapter is an empirical analysis of the calendar effect, using introduced virtual variable modified garch-m model, respectively weeks effect and in effect on the sample data regression analysis, confirmed the bulk lots stock in the market, in terms of yield effect of weeks, a significant negative effect on Thursday, in terms of its effect in, but there is no significant effect in; In terms of yield volatility weeks effect, there is significant effect on Tuesday, Wednesday and Thursday, in terms of its effect in significant February, march, June, July, August, September, October and December effect., on the small dish stock market in terms of yield effect of weeks, there were significant negative effect on Monday with a positive and significant effect on Thursday, in effect, a significant negative effect of June; In terms of yield volatility weeks effect, a significant effect on Tuesday and Wednesday, for the month, significant in March, June, August, September and December effect.The sixth chapter is the explanation for the calendar effect, part on the basis of the empirical results, the comprehensive behavioral finance related theory, and the author’s own understanding of the stock market, the calendar effect to our country the stock market to a certain degree of explanation.The last chapter is conclusion and Suggestions, in this paper, on the basis of research results, puts forward some advice to investors, such as try to avoid buying stocks on "Wednesday, the small dish stock, can consider to buy stocks on Friday, etc. For policymakers to perfect the information disclosure system of listed companies, to crack down on insider trading behavior; The government shall prudently release policy adjustment information; To strengthen the education of ordinary investors.